Merton76 Model
Calculate vanilla European option prices and sensitivities using
Merton76 model
Functions
optByMertonFFT | Option price by Merton76 model using FFT and FRFT |
optSensByMertonFFT | Option price and sensitivities by Merton76 model using FFT and FRFT |
optByMertonNI | Option price by Merton76 model using numerical integration |
optSensByMertonNI | Option price and sensitivities by Merton76 model using numerical integration |
optByMertonFD | Option price by Merton76 model using finite differences |
optBySensMertonFD | Option price and sensitivities by Merton76 model using finite differences |
Topics
Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.
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